PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Income Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BND 64%IGOV 16%VTI 13%VEA 7%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

64%

IGOV
iShares International Treasury Bond ETF
International Government Bonds

16%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

7%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

13%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Income Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


100.00%200.00%300.00%400.00%500.00%600.00%FebruaryMarchAprilMayJuneJuly
91.33%
551.37%
Income Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 29, 2009, corresponding to the inception date of IGOV

Returns By Period

As of Jul 22, 2024, the Income Portfolio returned 2.11% Year-To-Date and 2.60% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Income Portfolio2.11%0.97%3.57%5.74%1.74%2.60%
BND
Vanguard Total Bond Market ETF
0.65%0.58%1.94%3.84%-0.03%1.41%
VTI
Vanguard Total Stock Market ETF
15.07%1.38%13.26%21.58%13.95%12.25%
IGOV
iShares International Treasury Bond ETF
-4.31%1.49%-0.23%-1.10%-4.56%-2.50%
VEA
Vanguard FTSE Developed Markets ETF
6.65%2.51%9.11%10.30%7.15%4.79%

Monthly Returns

The table below presents the monthly returns of Income Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.56%-0.15%1.29%-2.89%2.28%0.73%2.11%
20234.24%-3.13%2.99%0.78%-1.43%1.22%0.65%-1.28%-3.18%-1.73%5.76%4.28%9.03%
2022-2.79%-1.46%-1.94%-5.41%0.62%-3.47%3.51%-3.75%-5.63%0.87%5.21%-1.75%-15.39%
2021-0.90%-0.84%-0.51%1.70%0.58%0.50%1.30%0.20%-1.90%1.06%-0.47%0.40%1.06%
20201.20%-0.47%-3.98%4.12%1.73%1.19%2.63%0.74%-0.86%-0.83%3.68%1.47%10.86%
20192.57%0.44%1.59%0.58%0.14%2.58%-0.07%1.69%-0.16%0.82%0.29%0.69%11.69%
20180.63%-1.65%0.40%-0.79%0.39%-0.09%0.48%0.63%-0.40%-2.35%0.77%0.04%-1.97%
20170.83%0.95%0.28%1.09%1.19%0.30%1.22%0.74%-0.02%0.23%0.66%0.75%8.53%
2016-0.16%0.85%2.54%0.77%-0.17%1.69%1.40%-0.34%0.34%-1.73%-1.99%0.54%3.70%
20150.79%0.17%-0.16%0.50%-0.73%-1.22%0.89%-1.37%0.05%1.47%-0.61%-0.33%-0.59%
20140.30%1.66%-0.03%0.85%1.07%0.66%-0.82%1.32%-1.60%0.69%0.76%-0.36%4.54%
20130.57%0.01%0.61%1.60%-1.63%-1.79%1.75%-1.18%2.26%1.54%0.04%0.09%3.85%

Expense Ratio

Income Portfolio has an expense ratio of 0.08%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IGOV: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Income Portfolio is 11, indicating that it is in the bottom 11% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Income Portfolio is 1111
Income Portfolio
The Sharpe Ratio Rank of Income Portfolio is 1212Sharpe Ratio Rank
The Sortino Ratio Rank of Income Portfolio is 1111Sortino Ratio Rank
The Omega Ratio Rank of Income Portfolio is 1111Omega Ratio Rank
The Calmar Ratio Rank of Income Portfolio is 88Calmar Ratio Rank
The Martin Ratio Rank of Income Portfolio is 1111Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Income Portfolio
Sharpe ratio
The chart of Sharpe ratio for Income Portfolio, currently valued at 0.74, compared to the broader market-1.000.001.002.003.004.000.74
Sortino ratio
The chart of Sortino ratio for Income Portfolio, currently valued at 1.11, compared to the broader market-2.000.002.004.006.001.11
Omega ratio
The chart of Omega ratio for Income Portfolio, currently valued at 1.13, compared to the broader market0.801.001.201.401.601.801.13
Calmar ratio
The chart of Calmar ratio for Income Portfolio, currently valued at 0.28, compared to the broader market0.002.004.006.008.0010.000.28
Martin ratio
The chart of Martin ratio for Income Portfolio, currently valued at 2.01, compared to the broader market0.0010.0020.0030.0040.002.01
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
0.500.761.090.181.47
VTI
Vanguard Total Stock Market ETF
1.822.581.321.506.62
IGOV
iShares International Treasury Bond ETF
-0.29-0.360.96-0.08-0.47
VEA
Vanguard FTSE Developed Markets ETF
0.791.191.140.582.33

Sharpe Ratio

The current Income Portfolio Sharpe ratio is 0.74. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.06, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Income Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.74
1.82
Income Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Income Portfolio granted a 2.59% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Income Portfolio2.59%2.38%2.10%1.70%1.75%2.22%2.35%2.07%2.18%2.14%2.47%2.40%
BND
Vanguard Total Bond Market ETF
3.41%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
IGOV
iShares International Treasury Bond ETF
0.00%0.00%0.11%0.39%0.00%0.24%0.31%0.19%0.69%0.22%1.28%1.32%
VEA
Vanguard FTSE Developed Markets ETF
3.31%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-7.02%
-2.86%
Income Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Income Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Income Portfolio was 21.20%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Income Portfolio drawdown is 7.02%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.2%Sep 3, 2021285Oct 20, 2022
-10.79%Mar 9, 20209Mar 19, 202049May 29, 202058
-5.77%Feb 10, 200919Mar 9, 200918Apr 2, 200937
-4.59%May 9, 201332Jun 24, 201381Oct 17, 2013113
-4.48%Jan 29, 2018229Dec 24, 201842Feb 26, 2019271

Volatility

Volatility Chart

The current Income Portfolio volatility is 1.59%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
1.59%
2.76%
Income Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BNDIGOVVTIVEA
BND1.000.43-0.14-0.10
IGOV0.431.000.130.33
VTI-0.140.131.000.84
VEA-0.100.330.841.00
The correlation results are calculated based on daily price changes starting from Jan 30, 2009